I have used the NUTS sampler, via PyMC. If your function is smooth you are OK, even if it's complex, because both PyMC and I think Stan too will auto differenti

I have used the NUTS sampler, via PyMC. If your function is smooth you are OK, even if it's complex, because both PyMC and I think Stan too will auto differentiate your function. PyMC in particular uses theano under the hood.